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利率期限结构理论综述 被引量:1

Critique on the Term Structure Theory
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摘要 利率期限结构理论是描述利率随时间变化而变化的重要理论,在此基础上形成的收益曲线对未来长期利率走势具有较好的预测功能。传统的利率期限结构理论主要包括纯粹预期理论、流动性升水理论、市场分割理论和优先偏好理论四种。对这几种理论进行了详细的描述和介绍,并对每一种理论的优缺点及最新研究情况进行了深入的剖析和评论。 The Term Structure Theory is an important theory which describes the movement of interest rate with time. The yield curve which forms on the basis of theory has a good function of forecast. The classic term structure theory was basically classified into four theories which would be examined in this paper and their advantages disadvantages also be analyzed.
出处 《云南财贸学院学报》 2005年第1期52-56,共5页 Journal of Yunnan Finance and Trade Institute
关键词 期限结构 预期 流动性升水 市场分割 优先偏好 Term Structure Expectation Liquidity Premium Market Segmentation Preference
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参考文献10

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  • 2MeCulloch ( 1975 ), Lee et al ( 1980 ), Roll ( 1970 ) 和 Throop(1981).
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  • 5Fama, E.F.. "The Information in the Term Structure". Journal of Financial Economics 13,1984b, P509-528.
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  • 7Hardouvelis, Gikas A.. "The Preditive Power of the Term Structure during Recent Monetary Regimes". Journal of Finance, VOL. XLIII, NO. 2, June 1988.
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  • 9McCulloch, J. Huston. "An Estimation of the Liquidity Premium Hypothesis". Journal of Political Economy 83 (January/February 1975 ), P95 - 119.
  • 10Modigliani, Franco, and Richard C. Sutch. "Innovation in Interest Rate Policy". American Economic Review, 56(May 1966), P178-197.

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